Regime-switching stochastic volatility model: estimation and calibration to VIX options

DOI10.1080/1350486X.2017.1333015zbMath1398.91593MaRDI QIDQ4610208

Huyên Pham, Amine Ismail, Stéphane Goutte

Publication date: 6 April 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

optionsEM algorithmstochastic volatilityimplied volatilityregime-switching modelBaum-Welch algorithmVIX index

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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